Can Old Trees Bring New Flowers?—A Case Study of Trading Optimization in Chinese Stock Market
作者: 黄希芬 ：云南师范大学数学学院，昆明;
Abstract: The validity of technical analysis has been a hot topic for several decades, and the technical-based trading strategy originally comes from the western stock market. It is mainly a summary of the price movements of the stocks in these markets. A commonly known fact is that different trading mechanisms may have different influences on the traders, and consequently different trading systems may have rather different stock price movements. Therefore it is of importance to carry out a survey that whether those commonly used trading strategies in the western security market have the same power in the Chinese security market, for the “T + 1” trading system currently used in China is very different from the “T + 0” system used in western countries. In this paper, we randomly choose 42 indexes and then statistically analyzed the average validity of the trading strategies that are based on the classic moving average (MA) techniques, using the daily stock prices from May 5th in 2012 to April 1st in 2013. We then introduce two parameters into the trading strategy, namely, the step length and range extent scope of the average and do the optimization of the trading strategy along these two parameters. Our results suggest that the optimized trading strategies keep their validity in Chinese market. The idea we used in this paper can be easily applied to other popular trading strategies, providing you with the system of suitable parameters.
文章引用: 黄希芬 (2013) 老树能否再开新花？——经典交易策略的优化探索：来自中国股票市场的一个实证研究。 统计学与应用， 2， 107-113. doi: 10.12677/SA.2013.24016
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